The residual thermal stress distribution characteristics of Ta2O5, Nb2O5, ZrO2, and TiO2 medical oxide ceramic coatings on TC4 titanium alloy were analyzed via the finite element method, and the influence of coating thickness and structure on the maximum residual thermal stress value of Ta2O5 layer was investigated. The results show that the residual thermal stress in the four oxide coatings is tensile, and the maximum stress value is located at the outer edge of the coating/substrate interface. Among them, Ta2O5 coating has the highest maximum residual thermal stress value (32.2 MPa), followed by Nb2O5 coating (19.7 MPa) and ZrO2 coating (10.2 MPa), and then TiO2 coating (1.03 MPa). When the coating thickness increases from 1 μm to 4 μm, the maximum residual thermal stress value of Ta2O5 coating decreases first and then increases. Ta2O5 layer with 2.5 μm thickness shows the smallest maximum residual stress value. For Ta2O5 coatings with different structures, the maximum residual thermal stress value in ascending order is gradient coating, composite coating, single-layer coating.